Competition and Bank Risk the Role of Securitization and Bank Capital

Yener Altunbas, David Marques-Ibanez, Michiel Van Leuvensteijn and Tianshu Zhao

No 2019/140, IMF Working Papers from International Monetary Fund

Abstract: We examine how bank competition in the run-up to the 2007–2009 crisis affects banks’ systemic risk during the crisis. We then investigate whether this effect is influenced by two key bank characteristics: securitization and bank capital. Using a sample of the largest listed banks from 15 countries, we find that greater market power at the bank level and higher competition at the industry level lead to higher realized systemic risk. The results suggest that the use of securitization exacerbates the effects of market power on the systemic dimension of bank risk, while capitalization partially mitigates its impact.

Keywords: WP; bank risk; capital ratio; bank competition variable; securitization; competition; index value; Lerner index; bank capital; bank competition; monopolist bank; bank market power; bank capitalization; bank-quarter estimation; Systemic risk; Capital adequacy requirements; Global (search for similar items in EconPapers)
Pages: 39
Date: 2019-07-02
New Economics Papers: this item is included in nep-ban, nep-com, nep-fdg and nep-rmg
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Citations: View citations in EconPapers (4)

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Working Paper: Competition And Bank Risk: The Role Of Securitization And Bank Capital (2013)
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